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Teoriya Veroyatnostei i ee Primeneniya, 1964, Volume 9, Issue 3, Pages 523–528 (Mi tvp398)  

This article is cited in 5 scientific papers (total in 5 papers)

Short Communications

On a Problem in the Theory of Diffusion Processes

S. A. Molčanov

Moscow
Full-text PDF (355 kB) Citations (5)
Abstract: In the paper some Markov processes associated with diffusion processes are discussed, A diffusion process $x_t$ defined on $l$-dimensional Euclidean space $E^l$ is considered only at moments when its trajectory belongs to a given set $S$ (a new time is introduced which changes only when the process is in $S$). If $S$ is a domain with differentiable boundary, the generator $\tilde{\mathfrak{A}}$ of the new process $y_t$ is the same as for $x_t$ at all interior points of $S$. On the boundary of $S$ non-classical boundary conditions are obtained. These boundary conditions are described in Theorem 1. If $S$ is an $(l-1)$-dimensional surface, we obtain on $S$ a discontinuous process of Cauchy type. The generator of this process is investigated in Theorem 2.
Received: 22.11.1963
English version:
Theory of Probability and its Applications, 1964, Volume 9, Issue 3, Pages 472–477
DOI: https://doi.org/10.1137/1109063
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: S. A. Molčanov, “On a Problem in the Theory of Diffusion Processes”, Teor. Veroyatnost. i Primenen., 9:3 (1964), 523–528; Theory Probab. Appl., 9:3 (1964), 472–477
Citation in format AMSBIB
\Bibitem{Mol64}
\by S.~A.~Mol{\v{c}}anov
\paper On a~Problem in the Theory of Diffusion Processes
\jour Teor. Veroyatnost. i Primenen.
\yr 1964
\vol 9
\issue 3
\pages 523--528
\mathnet{http://mi.mathnet.ru/tvp398}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=169289}
\zmath{https://zbmath.org/?q=an:0161.37101}
\transl
\jour Theory Probab. Appl.
\yr 1964
\vol 9
\issue 3
\pages 472--477
\crossref{https://doi.org/10.1137/1109063}
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  • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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